Eman93
4,750 posts
msg #107595
- Ignore Eman93 |
8/13/2012 9:08:17 PM
Its not about when its about where..............
http://stockcharts.com/public/1424685/chartbook
On the left of the chart is all the historic major support and resistance price levels this is all you should need to trade this system.
Pull up a 5 year or 10 year spx and add all horz price lines to your charts and have a look.
long above short below, brain dead simple...... I would use the 20 day instead of the 50 for back test... but would have the 20 be above the 50.
buy the dip and sell the rip...
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bjfeen
24 posts
msg #107596
- Ignore bjfeen |
8/13/2012 9:11:16 PM
tconte, you were correct, there was an error in my spreadsheet -- I was not correctly calculating the 5 day low. I've updated the spreadsheet and the returns improved drastically. I'm still working on including the 3% stop loss...
Kevin, if the 3% stop loss triggers but %D(5,1,5) is still below %D(5,1,10) indicating long, would you buy again at the next day's open or would you wait until the next cycle?
I've updated the shared spreadsheet available in an earlier post with the correct 5 day low. The spreadsheet is currently showing a return of ~800% with this method (without stop loss), but I want to go back and check some of my math.
Fantastic system Kevin and thank you for all your work!
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novacane32000
331 posts
msg #107597
- Ignore novacane32000 |
8/13/2012 9:13:41 PM
Wow.Nice results tconte. Thanks for taking the time to verify the results. Lets hope this works moving forward.
And thanks of course to Kevin for this filter.
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blumberg
27 posts
msg #107598
- Ignore blumberg
modified |
8/13/2012 9:36:54 PM
tconte: thx for doing this. Here's my concern: it's easier to spot this "trend" in retrospect, by having the benefit of hindsight.
For example, you write that from Aug. 2008 to March 2009, the trend was "down or flat." Then, starting on April 2009, you say the trend is "up or flat."
However, if you were looking at a chart of the SP500 at that time (April 2009), there was nothing to suggest that the 50DMA was now "up or flat."
In fact, the slope of the 50DMA as of April 1st, 2009 was less "uptrending" than it was 3 months earlier, in Jan. 2009.
Using the 20DMA crossing over a 50DMA as Eman suggested would take away some of the subjectivity of this experiment. However, I wonder if that would have created a lot of whipsawing at times. It would be interesting to backtest it this way if you have the time.
Greatly appreciate yours and everyone's effort here, and ofc thanks to Kevin for being so generous and sharing this.
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Kevin_in_GA
4,599 posts
msg #107599
- Ignore Kevin_in_GA |
8/13/2012 10:06:07 PM
Kevin, if the 3% stop loss triggers but %D(5,1,5) is still below %D(5,1,10) indicating long, would you buy again at the next day's open or would you wait until the next cycle?
++++
No - the entry signal is the cross below, not simply being below. You would wait for the next cross and play that trade.
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Eman93
4,750 posts
msg #107600
- Ignore Eman93 |
8/13/2012 10:57:53 PM
Using the 20DMA crossing over a 50DMA as Eman suggested would take away some of the subjectivity of this experiment. However, I wonder if that would have created a lot of whipsawing at times. It would be interesting to backtest it this way if you have the time.
the condition would be 20ma > 50ma to enter bullish not just the cross over ... for back testing...
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tombrown1
61 posts
msg #107601
- Ignore tombrown1 |
8/13/2012 11:03:40 PM
OK, so all these new posts got me a bit excited again. I backtested 8/8/10-8/8/11 (the one that was awful in my previous bt) but this time I only took trades for SDS that had a positive 20sma/50sma cross on SPX; and I only took the trades for SSO that had a negative 20sma/50sma cross on SPX.
I am only testing one stock at a time for the year. First SDS, then SSO. I realize this isn't exactly how you trade it, but I think it's close, and it's simpler to backtest this way.
SSO lost 1% for the year while SDS lost 7%.
I was hoping this filter would help things out, but still I'm getting nothing.
There are filters that have made money every year for the last ten years - this one hasn't. I'm still interested in ideas to improve it - I still haven't tried stops - but I'm a bit skeptical because of the large swaths of time it lost money.
I think if you would have traded real money with this thing over the last 5 years or so, you would have given up at some point or another. Kevin, what are you going on that you are trading this with real money? And not even following the method at that. It may be that you are trading it better than the way it was backtested - can you codify the way you are actually trading it?
Thanks again for the ideas guys - I think this one may have hope - I just haven't figured it out yet.
Best,
Tom
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tconte
13 posts
msg #107613
- Ignore tconte |
8/14/2012 12:22:10 PM
Hi guys, thanks for the kudos.
Eman, Blumberg, I am with you. There has to be a way to numerically identify where the trend is. I applied your suggestion to compare the SPY SMA(20) vs the SPY SMA(50) in the spreadsheet link below, but the results were not as impressive, ending up with a capital of only 253k. You were right Blumberg, this method creates a lot of whipsaw.
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandDVIaFZNd3h3M29lUDlCemN4OG1qbGc#gid=2
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Kevin_in_GA
4,599 posts
msg #107614
- Ignore Kevin_in_GA |
8/14/2012 12:23:12 PM
Kevin, what are you going on that you are trading this with real money? And not even following the method at that. It may be that you are trading it better than the way it was backtested - can you codify the way you are actually trading it?
++++++
Did you see the stats and equity curve I posted? That's why I'm putting my money against this one. Show me a better performing system that has been similarly backtested and I'll consider it.
And I am trying to trade it as the system suggested, but I opted to wait and see if I could get a better price at the exit of the SSO trade (I got that) versus when I tried the same thing for a better entry price (I did not get that). Sometimes it works and sometimes it doesn't.
Going forward, I have coded this to be robotically traded using ProdigioRTS (on paper only right now) but I'll be trading this through my account as well. Let's see how it does through the end of the year.
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jackmack
334 posts
msg #107615
- Ignore jackmack |
8/14/2012 1:32:50 PM
Kevin or anyone else
I want to post a screen shot of my start in Prodigio for others to see - how do I attach a screen shot?
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